Apple Watch Network while Locked
Is my cellular Apple Watch is locked since it is off my wrist, will it still be connected to broadband via cellular network?
Apple Watch Series 6, watchOS 7
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See the 'Lock automatically' and 'Lock manually' sections in:
Lock or unlock Apple Watch - Apple Support
It might still be connected to your network to allow you to use the 'Find My' feature incase your watch is lost or stolen. But no one else can use it unless they know your passcode and/or Apple ID password.